1Stylianos P,Leoll J.Option pricing and replication with transaction costs and dividends[J].Journal of Economic Dynamics and Control,2000,24(11):1527-1561.
2Jorion P.Predicting volatility in the foreign exchange market[J].The Journal of Finance,1995,50(2):507-528.
3Duan J C,Simonato J G.American option pricing under GARCH by a Markov chain approximation [J].Journal of Economic Dynamics & Control,2001,25 (11):1689-1718.
4Duan J C,Zhang H.Pricing Hang Seng Index options around Asian financial crisis-a GARCH approach [J].Journal of Banking & Finance,2001,25(11):1989-2014.
5Lehar A,Scheicher M,Schittenkopf C.GARCH vs stochastic volatility:option pricing and risk management [J].Journal of Banking & Finance,2002,26(2):323-345.
6Michasl M.Option pricing with transaction costs using a Markov chain approximation [J].Journal of Economic Dynamics & Control,2004,28(5):889-913.
7Amster P,Averbuj C G,Mariani M C.Stationary solutions for two nonlinear Black-Scholes type equations [J].Applied Numerical Mathematics,2003,47(3):275-280.
8George M,Stylianos P.Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs[J].Journal of Economic Dynamics & Control,2002,26(7):1323-1352.
9Stylianos P,Jean L.The American put under transactions costs[J].Journal of Economic Dynamics & Control,2004,28(5):915-935.
10Pindyck D.Investment under uncertainty [M].Princeton:Princeton University Press,1994:27-136.